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ITS » Master Theses » Statistika - S2
Posted by davi at 05/01/2007 15:34:49  •  17282 Views


PENENTUAN MEAN MODEL DAN VARIANCE MODEL DENGAN MENERAPKAN MODEL INTERVENSL DAN ARCH-GARCH PADA DATA INFLASI DAN NILAI TUKAR

DETERMINING THE MEAN AND VARIANCE MODELS BY IMPLEMENTING THE INTERVENTION MODEL AND ARCH-GARCH IN DATA ON INFLATION AND EXCHANGE RATE

Author :
SUKARTINI, Nl MADE  




ABSTRAK

Dalam analisis data time series seperti model Regresi dan model lain seperti ARIMA diasumsikan adanya homogenitas dalam varian tidak ada korelasi antara error ke-i dengan error ke i-1 atau ke ii dan asumsi error berdistribusi normal. Namun seringkali ditemui bahwa variabel yang di teliti di bidang ekonomi model menunjukkan adanya autokorelasi heteroscedasticity multikolinierity sehingga pemeriksaan pada residual model hams dilakukan. Secara teoritis variabel di bidang ekonomi memang saling berkorelasi dan sifat heteroscedasticity umum ditemui bila model analisis menggunakan data crosssectional. Dalam analisis data Time Series Engle dan Bollerslev mengenalkan pemodelan dalam kasus adanya heteroscedastisity dan auiokorelasi pada kwadrat residual model yang disebut model Autoregresive Conditional Heteroschedasticily ARCH dan Generalized ARCH GARCH. Penelitian ini akan menggunakam data inflasi dan data nilai tukar Rupiah terhadap Dollar Amerika.untuk melihat asumsi homegenitas varian yang dimodelkan dengan ARIMA Box-Jenkins dan model Intervensi untuk mean model dm ARCH-GARCH untuk varians model. Dalam penelitian ini menggunakan data inflasi Nasional dan inflasi Jakarta untuk periode Januari 1989 - Desember 2001 dan data nilai tukar Rupiah Dollar AS periode Nopember 1999 - Mei 2002. Analisa dan pemodelan untuk data inflasi dibedakan untuk data sebelum krisis Juli 1997 dan data seluruh pengamatan yaitu Januari 1989 sampai Desember 2001. Sedangkan data nilai tukar pemodelan data tidak dibedakan seperti data inflasi. Hasil yang diperoleh menunjukkan proses ARCH ada pada inflasi Nasional untuk seluruh pengamatan dan pada nilai tukar rupiah sedangkan data inflasi Jakarta pemodelan cukup pada mean model saja yaitu ARIMA Intervensi.


ABSTRACT

Following the time series analysis the regression and ARIMA models it is assumed that the homogeneous variance exist no correlation between errors and they are normally distributed. Usually we find that error or residual in model of economic data shows that there are problems of autocorrelation heteroschedasticity and multicollinierity. Therefore it must be any correction on the residual in the model. Theoretically most variables in economic data are correlated. Meanwhile there are problem of heteroschedasticity. The problems are common when we analyzing cross-section data. Engle and Bollerslev introduce the ARCH and GARCH models to solve those problems. To investigate whether there are changes in variance of residual model I apply the model using data of national inflation Jakarta inflation and the exchange rate of Rupiahs to American Dollar. Before modeling the ARCH-GARCH as variance model the data of inflations is also analyzed as intervention model since it does not meet the assumptions of the Box-Jenkins ARIMA. The results suggest that the process of ARCH-GARCH process exist in both national inflation and exchange rate of Rupiahs to American Dollar but not in the Jakarta inflations.



KeywordsARIMA Box-Jenkins; intervention model; ARCH-GARCH model.
 
Subject:  Analisis regresi
Contributor
  1. Drs. H. Nur Iriawan, M.Sc.,Ph.D
    Suhartono, S.Si., M.Sc.
Date Create: 05/01/2007
Type: Text
Format: pdf ; 110 pages
Language: Indonesian
Identifier: ITS-Master-3100005021705
Collection ID: 3100005021705
Call Number: 519.535 Suk p


Source
Theses Statistics RTSt 519.535 Suk p, 2003

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